Bal-Sagoth. Most Definitely...The vocalist and lyricist of Bal-Sagoth actually has a degree in English and did his thesis "on the genres of pulp fantasy, science fiction and horror, and more specifically the works of H.P. Lovecraft" (wikipedia of Byron Roberts).

MA states The Axis Of Perdition to incorporate Lovecraftian elements into their lyrics, although I haven't really been able to discern them yet. Could be because they never release their lyrics to the public... So that might not be very helpful. But what the hell, check them out anyway, they're the best you can get.

Payne's Gray released a Lovecraft-themed concept album called Kadath Decoded. For mid-90's progressive metal it actually has somewhat of a unique feel to it, with two lead vocalists and a lot of instrumentation that could appeal to fans of prog rock as well.